Existence, uniqueness and continuity of portfolio choice

Laurie Davies and Gerd Ronning

No 39, Discussion Papers, Series I from University of Konstanz, Department of Economics

Abstract: Under fairly weak conditions it is shown that an optimal portfolio choice exists and is unique. It is further shown that this choice is a continuous function of the joint distribution function of the random returns on the assets from which the choice is made.

Date: 1973
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